During exercise, we breathe slowly, and we need air (no obstruction). According to the CDC, about indoor activities:
Limit attendance at indoor group training sessions. If you do attend such a session, maintain as much distance as possible between yourself and other individuals, and use masks if they do not interfere with your activity. Suppose you need to be indoors, open windows to increase airflow throughout the space. But, using a mask interferes with the correct breathing function. 

At April 29, 2020, the CDC recommends not wearing a mask during high intensity activities, like running, if it causes breathing difficulty. Sweat can also make the mask become wet, making it even more difficult to breathe through and could promote the growth of bacteria. If unable to wear a cloth face covering, consider conducting the activity in a location with better ventilation (for instance, outdoors versus indoors) and where you can maintain physical distance from others. Gyms and other fitness sites may have their own additional requirements for mask usage.